Investment thesis
Portfolio optimisation — economic intuition. Given a universe of imperfectly-correlated return streams, convex optimisation (Markowitz, risk-parity, recursive decay) produces weights that dominate naive equal-weight on a risk-adjusted basis. The edge is not in alpha discovery but in the disciplined combination of existing signals — consistent with institutional multi-manager allocation.
Risk-adjusted performance — live track record
Forward-tested daily against live market data. Metrics derived from end-of-day portfolio marks; methodology documented on the Due Diligence and About pages.
| Return | Value | Risk-adjusted | Value | |
|---|---|---|---|---|
| Current portfolio worth | $12245.31 | Sharpe ratio | 1.05 | |
| Total return | 22.45% | Sortino ratio | 1.13 | |
| CAGR | 49.82% | Calmar ratio | 2.25 | |
| Volatility (annualised) | 54.23% | Profit factor | 1.27 | |
| Days live | 122 | Maximum drawdown | -22.16% |
Process consistency
| Positive months | 50.0% |
| Best month | 34.96% |
| Worst month | -5.86% |
| Recovery from max drawdown | still underwater |
Market independence and alpha
Measured against every benchmark over the strategy’s own live window. Alpha is annualised Jensen’s alpha (the return not explained by benchmark exposure, assuming a zero risk-free rate); t is its t-statistic.
| Benchmark | Correlation | 90-day rolling correlation | Beta | Alpha (ann.) | t |
|---|---|---|---|---|---|
| SPY | 0.68 | 0.79 | 2.97 | -54.33% | -0.95 n.s. |
| QQQ | 0.90 | 0.99 | 2.46 | -71.97% | -2.13 |
| FTWD | 0.51 | 0.54 | 2.70 | -34.83% | -0.52 n.s. |
| GLD | 0.23 | 0.27 | 0.55 | +59.82% | 0.79 n.s. |
| BTC | 0.04 | 0.01 | 0.04 | +54.30% | 0.69 n.s. |
Correlation materially below 1.0 to all benchmarks indicates returns that are not a re-expression of long equity beta — a strategy tracking one index closely while showing low correlation to another is not diversifying, only rotating.
Closest benchmark: QQQ (correlation 0.90). Alpha against it is -71.97% annualised, statistically significant at |t| ≥ 2.
Trading activity
Ratios computed over calendar days understate strategies that hold cash and overstate those that simply trade rarely, so exposure is disclosed directly.
| Lifetime executed trades | 3 |
| Days with no position change | 43.8% |
| Sortino over active days only | 1.51 |
Note: with 3 executed trades this track record reflects a held position, not an active strategy. Its risk-adjusted ratios are driven mainly by the underlying asset’s path and time out of the market.
Equity curve
Live track record — forward-tested performance from the strategy's production start date.
Drawdown profile
Underwater curve — percentage below the running high-water mark. Institutional allocators read this before the equity curve.
Current holdings
| Symbol | Quantity |
|---|---|
| TQQQ | 155.1611 |
| USD | 0.0000 |
Research & documentation
- Strategy deep-dive: RecursiveDecayHarvestBot: strategy deep-dive & live performance
- Reference implementation:
tradingbot/recursivedecayharvestbot.py - Framework: python_tradingbot_framework (open source, fully inspectable)
Related strategies
Other strategies in the Portfolio optimisation family:
- SharpePortfolioOptWeeklyBot · research note- SynthesizedHyperConvexityBot · research note Or view the full strategy roster.
For professional investors
Request the investor deck, DDQ, and extended analytics. Firm-gated and reviewed manually.
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